Hm , just to make sure I understand exactly what you mean: You go to the Firefox "File/File open" menu, select the wanted epub-file, click on the "open" button. In the next step the epub-file is not displayed, but you see another Firefox dialog? Could you please send me a screenshot of this dialog?

Yes, I use menu of firefox (File/Open File) to open a epub file on my local disk. This is my screenshot.